国债衍生品周报-20260322

Report Information - Report Title: Treasury Bond Derivatives Weekly Report [1] - Report Date: March 20, 2026 [1] - Author: Xu Liang (Z0002220) [1] - Reviewer: Tang Yun (Z0002422) [1] Core Viewpoints - Leveraging Factors: Safe-haven sentiment and loose funding support demand and suppress yield increases; buying power from funds and other sources supports the medium- and long-term strength [2] - Negative Factors: The Fed's non - rate cut causes spillover pressure that disturbs market sentiment; the unclear situation in the Strait of Hormuz and fluctuating oil prices lead to an increase in inflation expectations [2] - Trading Advice: Maintain a light - position wait - and - see approach, and focus on the impact of M1M2 data and geopolitical dynamics on liquidity [2] Data Graphs and Their Content Treasury Bond Yields - Graphs show the trends of 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from 2024/06 to 2025/12 [3] Funding Rates - Graph shows the trends of deposit - type institution pledged repo weighted average rates (1 - day and 7 - day) and 7 - day reverse repo rates from 2023/12 to 2025/12 [3] Treasury Bond Term Spreads - Graphs show the trends of 7Y - 2Y and 30Y - 7Y treasury bond spreads from 2024/06 to 2025/12 [3] Treasury Bond Futures Positions - Graph shows the positions of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2015/12 to 2025/12 [5] Treasury Bond Futures Trading Volumes - Graph shows the trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2024/06 to 2025/12 [6] Treasury Bond Futures Basis - Graphs show the basis of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts [7][8][9][11] Treasury Bond Futures Inter - delivery Spread - Graphs show the inter - delivery spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures [14][15] Treasury Bond Futures Cross - Variety Spreads - Graphs show the cross - variety spreads of TS4 - T and T3 - TL from 2023/06 to 2025/12 [16][17]